Stock Market Interdependence and Contagion between Asian Emerging Markets and the World Market

<p>This dissertation uses simple correlation coefficients and dynamic conditional correlation (DCC) coefficients to evaluate stock market interdependence and contagion between Asian emerging stock markets and the world stock market, as well as among Asian emerging stock markets themselves from 1995 to 2017. At the global level, the Asian emerging markets had an increasing level of interdependence with the world market over time. A significant increase in the level of interdependence was found during the 1997–1998 Asian Financial Crisis and the 2007–2009 Global Financial Crisis, indicating contagion. However, during the 2000–2002 dot-com crash, the level of interdependence did not change significantly. Furthermore, during the Global Financial Crisis, the correlation increased significantly in the second sub-phase after the Lehman Brothers collapsed. At the regional level, the market interdependence between pairwise Asian emerging markets increased over time and increased significantly during the Asian Financial Crisis and the Global Financial Crisis, which implied contagion. However, during the dot-com collapse, no significant increase in the level of market interdependence was found. In the two sub-phases of the Global Financial Crisis, the level of stock market interdependence among Asian emerging markets increased in the second sub-phase after the Lehman Brothers collapsed.</p>

Name thesis:degree_name

Economics, PhD

Level thesis:degree_level

Restricted to Claremont Colleges Dissertation

Discipline thesis:degree_discipline

School of Social Science, Politics, and Evaluation

Year dc:date.available

2022

Author dc:creator

• Xu, Mengjia

Contributors dc:contributor

• Graham Bird
• Levan Efremidze

• Economics

Repository record dc:identifier

https://scholarship.claremont.edu/cgu_etd/483

OAI identifier oai:identifier

oai:scholarship.claremont.edu:cgu_etd-1514